Hi GNB, This is not possible with the basic Azure VM (Networking NSG) function. This is a function that allows you to create inbound and outbound rules with limitations. Unfortunately, what you will need is:
Geomatch custom rules
https://learn.microsoft.com/en-us/azure/web-application-firewall/ag/geomatch-custom-rules
Create and use Web Application Firewall v2 custom rules on Application Gateway
https://learn.microsoft.com/en-us/azure/web-application-firewall/ag/create-custom-waf-rules
Understanding Pricing for Azure Application Gateway and Web Application Firewall https://learn.microsoft.com/en-us/azure/application-gateway/understanding-pricing If this is helpful please accept answer.